It would be a help to say which unit you have, then we can check up on it. Also, indicate what you may wish to connect it to.
Delices have either (or both) of the older style DIN connectors for midi IN, OUT and THRU, or the newer USB. The round DIN connectors usually have 3 pins inside. The easy connection is with DIN <--> DIN or USB <--> USB, but you can use connectors that allow USB <--> DIN, but there are cheap varieties of these that do not work, or fail in certain situations, so it's better to but a 'known' branded one.
Take things step by step, and we'll get you working.
One mention I've just seen for RockJam refers to a USB slot (connector ?) on the back of the kit.
You'd then need a USB cable to connect the drum kit to your computer, and you'd need software on the computer to receive the raw midi data and store it, or display it, and/or send the data to either hardware or virtual drums to generate the sounds which could well be a LOT better than the sounds produced by the RockJam.
If you store the data as midi, then you can edit it, and tidy up what needs tidying. Depending on where you get to, you can record the results as midi for playback later, or record as digital sounds for distribution.